When you view a project, the project name is showing up on the task bar for each task. This behavior is different than the web version. I'm not sure if this difference was intentional or not, but I thought I would bring it to your attention.

On the web version:
The project is not visible on the task bar while you are in the Project view, only the context shows.

On the Windows client:
Both the context and the project are visible.

I have attached two screenshots. Both are from the project view of the same project, one from the web and one from the Windows client. I have highlighted the difference on the Windows screenshot.